问一道题：NO.PZ2018123101000074

问题如下：

Hsu selects two corporate bonds that are callable at par and have the same characteristics in terms of maturity, credit quality and call dates.

Hsu uses the Adjusted spread (OAS) approach to analyse the bonds, assuming an interest rate volatility of 10%. The results of his analysis are presented in Exhibit 1.

Based on Exhibit 1, Hsu would most likely conclude that relative to bond 1, bond 2 is:

选项：

overpriced.

fairly priced.

underpriced.

解释：

C is correct.

考点：对OAS的理解

解析：

如果两个债券具有相同的特征和信用质量 ， 它们应该具有相同的OAS 。 由题干可知 ， 两支债券的特征完全一样 ， 那么理论上两支债券的OAS应该相等 。 从表格的数据可知 ， Bond 2的OAS相对较大 ， 因此Bond 2的价格相对较低 ， 是被低估的 。